Economy & PolicyCore researchlive in productionNew
FED Speech Tone Intraday
Updated dailyData needs: mediumshort onlylong onlylong short
paper
2022
Source
Hu, G. X., Pan, J., Wang, J., Zhu, H. (2022). "Premium for Heightened Uncertainty: Evidence from Fed Funds Futures." Journal of Financial Economics, 145(2), 537-562.
Read the paper →
In plain terms
Hawkish Fed speech → SPY/QQQ drift down 1-3 days.
How it works
Hawkish Fed speeches (LM tone z < -1) → 1-3d index drift down.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Fed speeches
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- 10-40 bps
- Tested over
- T+0 to T+3d
Hu-Pan-Wang-Zhu 2022: 10-40 bps over 1-3d.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Pre-Fed-Meeting DriftEconomy & Policy
The 24 hours before each scheduled Fed announcement, the market drifts up ~0.5% — one of the cleanest known anomalies, especially on press-conf meetings.
Macro RegimeEconomy & Policy
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore FED Speech Tone Intraday on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.